Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0305 |
| Annualized Std Dev | 0.3084 |
| Annualized Sharpe (Rf=0%) | 0.0989 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3852.0000 |
| NAs | 1.0000 |
| Minimum | -0.1694 |
| Quartile 1 | -0.0075 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0087 |
| Maximum | 0.1496 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0004 |
| Stdev | 0.0194 |
| Skewness | -0.0620 |
| Kurtosis | 10.2993 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0139 |
| Gain Deviation | 0.0144 |
| Loss Deviation | 0.0154 |
| Downside Deviation (MAR=210%) | 0.0182 |
| Downside Deviation (Rf=0%) | 0.0138 |
| Downside Deviation (0%) | 0.0138 |
| Maximum Drawdown | 0.7437 |
| Historical VaR (95%) | -0.0294 |
| Historical ES (95%) | -0.0475 |
| Modified VaR (95%) | -0.0279 |
| Modified ES (95%) | -0.0378 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-22 | 2008-11-20 | 2020-12-04 | -0.7437 | 3383 | 359 | 3024 |
| 2006-04-20 | 2006-06-14 | 2006-10-04 | -0.1706 | 117 | 39 | 78 |
| 2007-02-08 | 2007-03-05 | 2007-06-01 | -0.1170 | 79 | 17 | 62 |
| 2021-01-13 | 2021-01-27 | 2021-02-08 | -0.0633 | 18 | 10 | 8 |
| 2006-03-16 | 2006-03-21 | 2006-04-18 | -0.0497 | 23 | 4 | 19 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.9 | -0.6 | 1.2 |
| 2006 | -0.3 | 1 | 0.3 | -2.3 | 1 | 0.1 | -1.2 | 0.3 | 0 | -2 | -1.2 | -0.4 | -4.7 |
| 2007 | 1.3 | -0.8 | -0.3 | -0.3 | 0.4 | -1.5 | -1 | 2 | 2.8 | -3.7 | 0.5 | 0.7 | 0 |
| 2008 | 1.4 | -3.4 | 6.7 | 4.6 | -0.6 | -0.6 | -0.4 | -0.2 | 3.5 | 4.2 | -16.9 | 4 | 0.1 |
| 2009 | -2.6 | -3.7 | 0.9 | 0.6 | 1.3 | 0.1 | 0.3 | -3.7 | -3.2 | -3.6 | 0.4 | -0.3 | -12.8 |
| 2010 | 1.4 | 0.7 | 1 | -1.7 | -2.3 | -0.8 | -0.8 | 3.6 | 1 | -0.1 | 2.7 | -0.1 | 4.3 |
| 2011 | 1.7 | -1.7 | 1.7 | -0.1 | -4.2 | 1.9 | -0.3 | -2.6 | -4.9 | -5.3 | -1.4 | -0.3 | -14.7 |
| 2012 | 2.3 | 1.1 | 0.6 | 0.1 | -3.5 | 2.8 | -1.6 | 0.5 | 0.6 | 2 | -0.3 | 1.5 | 6.1 |
| 2013 | 1 | -0.3 | -1.5 | -2.3 | -1.6 | 0.7 | 2 | -1.3 | 0.9 | -0.1 | 0.2 | 0.6 | -1.7 |
| 2014 | -1.2 | 0.2 | 1 | 0 | -0.3 | 0.5 | -0.9 | 0.5 | -1.7 | 2.2 | -1.1 | -0.1 | -1 |
| 2015 | -1.4 | -1.2 | 0.1 | -0.3 | -0.1 | 0.3 | 0.4 | -3.9 | -0.4 | -0.1 | 0.6 | 0 | -6 |
| 2016 | -0.5 | 3.7 | 0.9 | -0.7 | -0.1 | -0.5 | -0.6 | -1 | 1.5 | -0.6 | 1.1 | 0.1 | 3.2 |
| 2017 | 0.5 | 2 | 0.1 | -0.2 | 2.4 | 0.1 | 0.3 | 0.5 | 0.5 | -0.1 | 0.1 | 0.1 | 6.5 |
| 2018 | 1.5 | -3 | 1.3 | -1.2 | 0.8 | 0 | -1.6 | 0.2 | -0.2 | 0.3 | 0.5 | 1 | -0.5 |
| 2019 | 0.8 | 1 | 2.6 | -0.8 | -1.8 | 0.6 | -2.4 | 0.6 | -3.5 | 1.4 | -0.3 | -0.1 | -2.1 |
| 2020 | -1.6 | -3.2 | -4.2 | -3 | 1.6 | -0.8 | 0 | 0.5 | 0.2 | -0.6 | 1.8 | 0.9 | -8.3 |
| 2021 | 2.9 | 3.2 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-11-15 53.8 SPY 123. -0.0036 0.0083 0.0347 0.0085 0.0455 0.358 -0.123 GLD 46.7 0.0009 0.0163
2 2005-11-17 54.5 SPY 125. 0.00930 0.0105 0.0406 0.0177 0.0497 0.378 -0.0877 GLD 48.5 0.0147 0.043
3 2005-11-18 54.6 SPY 125. 0.0039 0.0111 0.0634 0.0217 0.0657 0.385 -0.077 GLD 48.5 -0.0004 0.0355
4 2005-11-21 55.4 SPY 126. 0.005 0.0167 0.0646 0.0288 0.0659 0.362 -0.0961 GLD 49.0 0.0109 0.0508
5 2005-11-22 55.6 SPY 126. 0.0043 0.0248 0.0529 0.0425 0.0689 0.342 -0.095 GLD 49.3 0.0067 0.057
6 2005-11-23 56.1 SPY 127. 0.00580 0.0287 0.0611 0.0447 0.0725 0.360 -0.0753 GLD 49.2 -0.0034 0.0287
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
